Exchange Rates and Asset Prices in a Global Demand System
Exchange Rates and Asset Prices in a Global Demand System
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全球需求体系中的汇率和资产价格
DOI：
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发表时间：
2020
期刊：
影响因子：
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通讯作者：
Motohiro Yogo
中科院分区：
文献类型：
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作者：
R. Koijen;Motohiro Yogo
使用国际持有数据，我们估计了36个国家的金融资产需求系统。需求系统提供了一个统一的框架，用于分解汇率、长期收益率和股票价格的变化;解释欧洲主权债务危机等重大经济事件;估计美国资产的便利收益率。宏观变量和政策变量（即，短期利率、债务数量和外汇储备）占汇率变化的55%，长期收益率的57%和股票价格的69%。美国长期债务的平均便利收益率为2.15%，美国股票为1.70%。
Using international holdings data, we estimate a demand system for financial assets across 36 countries. The demand system provides a unified framework for decomposing variation in exchange rates, long-term yields, and stock prices; interpreting major economic events such as the European sovereign debt crisis; and estimating the convenience yield on US assets. Macro variables and policy variables (i.e., short-term rates, debt quantities, and foreign exchange reserves) account for 55 percent of the variation in exchange rates, 57 percent of long-term yields, and 69 percent of stock prices. The average convenience yield is 2.15 percent on US long-term debt and 1.70 percent on US equity.
影响因子：
8.2
作者：
Maggiori, Matteo;Neiman, Brent;Schreger, Jesse
通讯作者：
Schreger, Jesse